单选题 A portfolio manager is looking at an investment that has an expected annual return of 10% with a standard deviation of annual returns of 5%. Assuming the returns are approximately normally distributed, the probability that the return will exceed 20% in any given year is closest to:

A. 0.0%.
B. 4.56%.
C. 2.28%.

【正确答案】 C

【答案解析】Given that the standard deviation is 5%, a 20% return is two standard deviations above the expected return of 10%. Assuming a normal distribution, the probability of getting a result more than two standard deviations above the expected return is 1 - Prob ( Z≤2)=1-0.9772=0.228 or 2.28% (from the Z table).